Jan Kallsen

12 papers Journal 12
YearRankTypeTitle / Venue / Authors
2024 J jnl
Is Learning in Biological Neural Networks Based on Stochastic Gradient Descent? An Analysis Using Stochastic Processes.
Neural Comput.
Sören Christensen, Jan Kallsen
2024 J jnl
Learning to steer with Brownian noise.
CoRR
Stefan Ankirchner, Sören Christensen, Jan Kallsen, Philip Le Borne, Stefan Perko
2024 J jnl
Numeraire-Invariant Quadratic Hedging and Mean-Variance Portfolio Allocation.
Math. Oper. Res.
Ales Cerný, Christoph Czichowsky, Jan Kallsen
2023 J jnl
Is Learning in Biological Neural Networks based on Stochastic Gradient Descent? An analysis using stochastic processes.
CoRR
Sören Christensen, Jan Kallsen
2015 J jnl
On a Heath-Jarrow-Morton approach for stock options.
Finance Stochastics
Jan Kallsen, Paul Krühner
2013 J jnl
On the existence of shadow prices.
Finance Stochastics
Giuseppe Benedetti, Luciano Campi, Jan Kallsen, Johannes Muhle-Karbe
2011 J jnl
Existence of shadow prices in finite probability spaces.
Math. Methods Oper. Res.
Jan Kallsen, Johannes Muhle-Karbe
2004 J jnl
Pricing derivatives of American and game type in incomplete markets.
Finance Stochastics
Jan Kallsen, Christoph Kühn
2002 J jnl
Derivative pricing based on local utility maximization.
Finance Stochastics
Jan Kallsen
2002 J jnl
The cumulant process and Esscher's change of measure.
Finance Stochastics
Jan Kallsen, Albert N. Shiryaev
2000 J jnl
Optimal portfolios for exponential Lévy processes.
Math. Methods Oper. Res.
Jan Kallsen
1999 J jnl
A utility maximization approach to hedging in incomplete markets.
Math. Methods Oper. Res.
Jan Kallsen